Necessary and sufficient conditions for the Robbins-Monro method

DOI10.1016/0304-4149(84)90011-5zbMath0537.62068OpenAlexW2065752716MaRDI QIDQ792727

Dean S. Clark

Publication date: 1984

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(84)90011-5

zbMATH Keywords

Lyapunov functionlaw of large numbersdifferential inequalitiesweak law of large numbersCounter-examples for non-convergence in probabilityembedded differential equationRobbins-Monro method

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stochastic approximation (62L20) (L^p)-limit theorems (60F25)

Related Items (5)

Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds ⋮ Weighted averaging and stochastic approximation ⋮ Adaptative Monte Carlo Method, A Variance Reduction Technique ⋮ On robustness of the Robbins-Monro method for parallel processing ⋮ Necessary and sufficient conditions for a stochastic approximation method

Cites Work

• Stability by Liapunov's direct method. With applications
• A stochastic difference equation
• A Stochastic Approximation Method

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